Code JEL

URI

Collections

Métadonnées

Auteur

Gresse, Carole

Type

Document de travail / Working paper

Nombre de pages du document

36

Résumé en anglais

This empirical study based on data from several exchanges and trading platforms for a
sample of 153 European blue chip stocks over a post-MiFID three-month period shows that
the way liquidity correlates with fragmentation is diverse and depends on the market, the type
of liquidity metrics, and the type of fragmentation that is considered. All in all, fragmentation
seems to be more beneficial to global traders trading in several market places than to local
traders trading on the primary exchange only, which confirms the crucial role of order routing
systems in fragmented markets. Further, fragmentation adversely affects price quality by
increasing short-term volatility. That adverse effect is assignable to market-traded order flow
fragmentation but not to internalization.